If I'd have to define it I'd say a program consists of the instructions of what to do and the data strictly associated with these instructions.
A simple example would be a program that calculates the sum of two numbers. The instructions consist of the addition and the data are the two numbers that you want to add together.
A more complex program would be a video game, where there are instructions on how to display a model of a car, and the data is the model, the texture, and the sound of the car. Another set of instructions would be how to control the car. I'd argue that the data is part of the program as you could play the game without the data part missing.
There are programs that work on external data, e.g. word processors, sound/video editors, 3d modeling tools. The data they work on is not considered part of the program.
The line of what belongs to the program could be a bit blurry. :)
Wikipedia's computer program definition can be found here.